Rare roll event modeling of unmanned catamaran

Статья посвящена вопросу моделирования редких событий, которые возникают при качке катамарана. Система управления автономного катамарана должна уметь распознавать нежелательные ситуации, которые могут привести к осуществлению редких событий. В данной статье приводится несколько методов, позволяющих проводить моделирование редких событий и делать оценку риска возникновения редкого события. Методы основываются на теории больших уклонений. Первый метод позволяет оценить возможные «ожидаемые потери» при достижении редкого события путём оценки скорости убывания вероятности компонентов вектора состояния в редком состоянии. Оценка осуществляется путём расчёта квазипотенциалов из аттрактора до порогового значения состояния. Второй метод позволяет оценить вероятность движения вдоль наиболее вероятной траектории к редкому событию. Оценка осуществляется путём сравнения вектора состояния с состояниями на наиболее вероятной траектории к редкому событию. Точность оценок зависит от вектора состояния. Приводится сравнение с результатами, полученными с помощью метода Монте-Карло. Указанные методы могут быть использованы для создания систем супервизорного управления и систем поддержки принятия решений при оценке рискованности совершения морских переходов. The article is devoted to the issue of modeling rare events that occur when a catamaran is pitching. The control system of an autonomous catamaran should be able to recognize undesirable situations that can lead to the rare events. This article provides several methods for modeling rare events and making estimation of risk of a rare event occurrence. The methods are based on the large deviations theory for dynamical systems. The first method allows to estimate possible losses via calculation of the probability decreasing rate of the state vector components in a rare state. The estimation is carried out by calculating the quasipotential from the state close to the attractor to the threshold state. The second method allows to estimate the probability of moving along the most likely trajectory to a rare event. The evaluation is carried out by comparing the studied state vector with the states on the most likely trajectory. The accuracy of the estimates depends on the studied state vector. A comparison with the results obtained using the Monte Carlo method. These methods can be used to create supervisory control systems and decision support systems when assessing the riskiness of sea navigation.

Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization

Given a finite number of stochastic systems, the goal of our problem is to dynamically allocate a finite sampling budget to maximize the probability of selecting the “best” system. Systems are encoded with the probability distributions that govern sample observations, which are unknown and only assumed to belong to a broad family of distributions that need not admit any parametric representation. The best system is defined as the one with the highest quantile value. The objective of maximizing the probability of selecting this best system is not analytically tractable. In lieu of that, we use the rate function for the probability of error relying on large deviations theory. Our point of departure is an algorithm that naively combines sequential estimation and myopic optimization. This algorithm is shown to be asymptotically optimal; however, it exhibits poor finite-time performance and does not lead itself to implementation in settings with a large number of systems. To address this, we propose practically implementable variants that retain the asymptotic performance of the former while dramatically improving its finite-time performance.

Large fluctuations in locational marginal prices

This paper investigates large fluctuations of locational marginal prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study events of the form P ( LMP ∉ ∏ i = 1 n [ α i − , α i + ] ) , where LMP is the vector of LMPs at the n power grid nodes, and α − , α + ∈ R n are vectors of price thresholds specifying undesirable price occurrences. By exploiting the structure of the supply–demand matching mechanism in power grids, we look at LMPs as deterministic piecewise affine, possibly discontinuous functions of the stochastic input process, modelling uncontrollable renewable generation. We use techniques from large deviations theory to identify the most likely ways for extreme price spikes to happen, and to rank the nodes of the power grid in terms of their likelihood of experiencing a price spike. Our results are derived in the case of Gaussian fluctuations, and are validated numerically on the IEEE 14-bus test case. This article is part of the theme issue ‘The mathematics of energy systems’.

From Data to Decisions: Distributionally Robust Optimization Is Optimal

We study stochastic programs where the decision maker cannot observe the distribution of the exogenous uncertainties but has access to a finite set of independent samples from this distribution. In this setting, the goal is to find a procedure that transforms the data to an estimate of the expected cost function under the unknown data-generating distribution, that is, a predictor, and an optimizer of the estimated cost function that serves as a near-optimal candidate decision, that is, a prescriptor. As functions of the data, predictors and prescriptors constitute statistical estimators. We propose a meta-optimization problem to find the least conservative predictors and prescriptors subject to constraints on their out-of-sample disappointment. The out-of-sample disappointment quantifies the probability that the actual expected cost of the candidate decision under the unknown true distribution exceeds its predicted cost. Leveraging tools from large deviations theory, we prove that this meta-optimization problem admits a unique solution: The best predictor-prescriptor-pair is obtained by solving a distributionally robust optimization problem over all distributions within a given relative entropy distance from the empirical distribution of the data. This paper was accepted by Chung Piaw Teo, optimization.

Boolean Valued Representation of Random Sets and Markov Kernels with Application to Large Deviations

We establish a connection between random set theory and Boolean valued analysis by showing that random Borel sets, random Borel functions, and Markov kernels are respectively represented by Borel sets, Borel functions, and Borel probability measures in a Boolean valued model. This enables a Boolean valued transfer principle to obtain random set analogues of available theorems. As an application, we establish a Boolean valued transfer principle for large deviations theory, which allows for the systematic interpretation of results in large deviations theory as versions for Markov kernels. By means of this method, we prove versions of Varadhan and Bryc theorems, and a conditional version of Cramér theorem.

Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation

There are two ways of speeding up Markov chain Monte Carlo algorithms: (a) construct more complex samplers that use gradient and higher-order information about the target and (b) design a control variate to reduce the asymptotic variance. While the efficiency of (a) as a function of dimension has been studied extensively, this paper provides the first results linking the efficiency of (b) with dimension. Specifically, we construct a control variate for a d-dimensional random walk Metropolis chain with an independent, identically distributed target using the solution of the Poisson equation for the scaling limit in [30]. We prove that the asymptotic variance of the corresponding estimator is bounded above by a multiple of $\log(d)/d$ over the spectral gap of the chain. The proof hinges on large deviations theory, optimal Young’s inequality and Berry–Esseen-type bounds. Extensions of the result to non-product targets are discussed.